[SciPy-dev] Nonlinear constrained optimizer in SciPy
Travis Oliphant
oliphant at ee.byu.edu
Fri Apr 9 20:49:46 CDT 2004
eric jones wrote:
> David M. Cooke wrote:
Thanks to David Cooke and the very informative Jean-Sebastien Roy SciPy
now has our first multivariable constrained optimization function
Just in time for the Scipy 0.3 release.
The Zhu, Byrd, Nocedal L-BFGS-B optimizer is named
scipy.optimize.fmin_l_bfgs_b
It uses the same interface David constructed. I removed dependency on
linpack and blas and use instead the lapack returned from scipy_distutils.
The docstring contains the information for the papers people should
quote if they use the algorithm in their work.
I notice that it is slower for unconstrained problems than the other
algorithms which I suppose is not surprising. What have other people
experienced?
I just did a simple test on the rosenbrock function (notice that
optimize.rosen and optimize.rosen_der provide the function and gradient
for this famous function) both of these are vector-length agnostic so
that the initial guess defines the order of the problem. I tested order
3-5 on windows and linux without problems.
Thanks again,
-Travis Oliphant
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